vrtest (version 0.97)

Adjust.thin: Adjustment for thinly-traded returns

Description

The adjustment based on AR(1) fitting as proposed by Miller et al. (1994)

Usage

Adjust.thin(y)

Arguments

y

financial return time series

Value

Adjusted return

References

Miller et al. (1994), Mean Reversion of Standard & Poor's 500 Index Base Changes: Arbitrage Induced or Statistical Illusion Journal of Finance, XLIX, 479-513.

Examples

data(exrates)
y <- exrates$ca                           
nob <- length(y)
r <- log(y[2:nob])-log(y[1:(nob-1)]) 
Adjust.thin(r)